Bernoulli representation 1boundary behavior 1conditional density 1diffusion processes 1fokker-planck equation 1martingales 1pathwise filtering 1rough Heston 1rough volatility 1stochastic calculus 1stochastic volatility 1
From the 2 of 3 linked papers with an AI index.
3 papers
q-fin.MF2026
Local Stochastic Rough Volatility: Pathwise Filtering and the Conditional Density Equation
Damiano Brigo, Vladimir Lucic
The paper analyzes the conditional density equation for local stochastic rough volatility models, showing that the Itô‑Wentzell random PDE reduction remains valid and can be transf…
math.PR2026
On the boundaries, asymptotic law and Bernoulli-Doob representation of homogeneous bounded martingales
Damiano Brigo, Frédéric Vrins, Frédéric Vrins
The paper shows that any bounded homogeneous diffusion martingale on a finite interval can be represented as the conditional expectation of a Bernoulli variable (a Bernoulli-Doob m…
q-fin.CP2024
Deep learning interpretability for rough volatility
Bo Yuan, Damiano Brigo, Antoine Jacquier +1
Deep learning methods have become a widespread toolbox for pricing and calibration of financial models. While they often provide new directions and research results, their `black b…